Analysis of financial data series using fractional Fourier transform and multidimensional scaling

Detalhes bibliográficos
Autor(a) principal: Machado, J. A. Tenreiro
Data de Publicação: 2011
Outros Autores: Duarte, Fernando B., Duarte, Gonçalo Monteiro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10400.22/4082
Resumo: The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.
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spelling Analysis of financial data series using fractional Fourier transform and multidimensional scalingFinancial data seriesFractional Fourier transformMultidimensional scalingFractional calculusThe goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.SpringerREPOSITÓRIO P.PORTOMachado, J. A. TenreiroDuarte, Fernando B.Duarte, Gonçalo Monteiro2014-02-28T09:34:52Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4082eng0924-090X1573-269X10.1007/s11071-010-9885-1info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-04-02T03:29:43Zoai:recipp.ipp.pt:10400.22/4082Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T00:58:21.891541Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title Analysis of financial data series using fractional Fourier transform and multidimensional scaling
spellingShingle Analysis of financial data series using fractional Fourier transform and multidimensional scaling
Machado, J. A. Tenreiro
Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
title_short Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_full Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_fullStr Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_full_unstemmed Analysis of financial data series using fractional Fourier transform and multidimensional scaling
title_sort Analysis of financial data series using fractional Fourier transform and multidimensional scaling
author Machado, J. A. Tenreiro
author_facet Machado, J. A. Tenreiro
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
author_role author
author2 Duarte, Fernando B.
Duarte, Gonçalo Monteiro
author2_role author
author
dc.contributor.none.fl_str_mv REPOSITÓRIO P.PORTO
dc.contributor.author.fl_str_mv Machado, J. A. Tenreiro
Duarte, Fernando B.
Duarte, Gonçalo Monteiro
dc.subject.por.fl_str_mv Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
topic Financial data series
Fractional Fourier transform
Multidimensional scaling
Fractional calculus
description The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01T00:00:00Z
2014-02-28T09:34:52Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/4082
url http://hdl.handle.net/10400.22/4082
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0924-090X
1573-269X
10.1007/s11071-010-9885-1
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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